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sbm
DescriptionThe commodity vega risk charge based on the ‘Medium correlations’ scenario
Variationseuler, incremental, euler, pro_rata, high-low, netted, reported
Reference[MAR21.4]
FormulaK=∑bKb2+∑b∑c≠bγbc⋅Sb⋅Sc, where Sb=∑kWSk if ∑bKb2+∑b∑c≠bγbc⋅Kb⋅Kc>0 else Sb=max(min(∑kWSk,Kb),−Kb)\displaystyle K = \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c}, \text{ where }S_b = \sum _{k} WS_k \text{ if }\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot K_b \cdot K_c >0 \text{ else } S_b = max(min( \sum _{k} WS_k , K_b), -K_b)